Actuarial bridges to dynamic hedging and option pricing

Insurance: Mathematics and Economics

Volumn 18, Issue 3, 1996, Pages 183-218

  Gerber, Hans U ^a   Shiu, Elias S W ^b  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

Arbitrage; Dynamic hedging; Equivalent martingale measure; Esscher transforms; Fundamental theorem of asset pricing; Num r; Option pricing theory; Poisson process; Replicating portfolio; Risk neutral measure; Self financing portfolio; Wiener process

Indexed keywords

EID: 0030295715     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6687(96)85007-4     Document Type: Article

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